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| Author: | Hirshleifer, D. |
| Title: | Futures trading, storage and the division of risk: a multiperiod analysis. |
| Journal: | Economic Journal
1989 : SEP, VOL. 99:397, p. 700-719 |
| Index terms: | FUTURES MARKETS STORAGE FINANCIAL RISK ECONOMETRIC MODELS |
| Language: | eng |
| Abstract: | An integrated framework is presented for the analysis of the inter-related storage, lending and futures hedging decisions of the major classes of participants in commodity markets. The model describes the joint equilibrium in spot and futures markets, with emphasis upon the determinants of the difference between the futures price and the expectation of the later spot price. The economic setting of the problematic is characterized. The main implications from the analysis are developed in a basic example with two variations. It is shown how different factors affect hedging and bias. The implications from the multi-period analysis of the division of risk are dramatically different from previous models. |
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